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Can we get Option Greeks from a history call?

Hi everyone, 

I know that options contracts have a collection of the greeks as an attribute. However what I want to do is to use the option greeks as an input for a machine learning algorithm. Therefore it would be really nice to get access to historical values. Is there an easy way to achieve this? 

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I'd also be interested in this data

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I've been looking into the options chains in the data explorer and it seems that the Greeks are not available with the data. If you want to get the Greeks I think you will have to compute them yourself.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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